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Changelog

All notable changes to this project will be documented in this file.

[v3.5.2] - 2021-05-10

  • walk forward optimization
  • more advanced backtest analysis tools

[v3.5.1] - 2021-05-09

  • optimize with sliding window
  • restructured dirs
  • new dirs
  • backtests/{exchange}/{symbol}/optimize/
  • backtests/{exchange}/{symbol}/plots/
  • backtests/{exchange}/{symbol}/caches/
  • if end_date = -1 in backtest_config.hjson, downloader will make a new ticks_cache.npy for each session
  • to reuse prev ticks cache, set end_date to a static date
  • when optimizing, intermediate_best_result.json is dumped as usable live_config

[v3.5.0] - 2021-05-02

  • added volatility indicator
  • split extract optimize.py from backtest.py
  • now python3 backtest.py backtest_config.hjson live_config.json will backtest and plot single candidate
  • python3 optimize.py backtest_config.hjson will optimize
  • refactoring of all @njit calcs, separating them into jitted.py
  • added telegram bot

[v3.4.0] - 2021-04-14

  • added binance USDT-margined backtester with stoploss
  • added binance COIN-margined backtester with stoploss
  • changed backtester usage -- now needs to specify whole path to .hjson config file

[v3.3.3] - 2021-04-05

  • added stop loss
  • todo: backtester with stop loss

[v3.3.2] - 2021-04-05

  • changed api key format. put api key/secret in api-keys.json in main dir.
  • changed name of live_settings dir to live_configs, removed subdirs binance/bybit
  • changed how to use start_bot.py. see updated startup instructions
  • improved backtester multiprocessing memory usage

[v3.1.1] - 2021-04-01

  • Binance inverse futures coin margined markets now supported

[v3.3.0] - 2021-03-30

  • Bybit usdt linear perpetual and Bybit inverse perpetual markets now supported
  • new downloader for historical backtesting data

[v3.2.1] - 2021-03-25

  • bug fixes
  • Bybit backtester improvements and bug fixes
  • numba is now enabled by default, use --nojit to disable numba
  • several renamings

[v3.2.0] - 2021-03-23

  • implemented particle swarm optimizationg algorithm, replacing jackrabbit
  • Bybit hedge mode with inverse futures
  • removed config param close_qty_pct
  • removed config param balance_pct
  • removed config param max_markup
  • added config param markup_range

[v3.1.0] - 2021-03-21

  • removed setting min_close_qty_multiplier
  • added setting close_qty_pct, which complements entry_qty_pct
  • rewrote iter_long/shrt_closes
  • fixed memory leak bug

[v3.0.1] - 2021-03-18

  • hedge mode backtester implemented
  • emas added back

[v3.0.0] - 2021-03-12

  • Binance hedge mode implemented (Bybit not yet supported)
  • emas removed
  • stop loss removed

[v2.0.3] - 2021-03-02

  • new default Bybit config
  • behavior change: reentry qtys may now be smaller than initial entry qty
  • backtest iterates a numpy array instead of a python list of dicts for reduced ram usage

[v2.0.2] - 2021-03-01

  • more jit'ed calcs

[v2.0.1] - 2021-02-28

  • added optional just-in-time compiling for faster backtesting

[v2.0.0] - 2021-02-23

  • major update to backtester
  • new backtest usage syntax
  • other changes

[v1.3.3] - 2021-02-18

  • minor refactoring

[v1.3.0] - 2021-02-17

  • added indicator_settings["tick_ema"]["spread"] to live bot and backtester
    • optional setting -- ema_spread defaults to 0.0 if not present in config file

[v1.2.1] - 2021-02-17

  • backtester will cache exchange fetched settings after first run
  • backtester will prevent using leverage higher than max leverage, in case max leverage set in ranges.json was too high

[v1.2.0] - 2021-02-17

  • bug fixes
  • change in backtesting_notes.ipynb
    • automatic plot dump
    • other changes
  • backtester now fetches relevant data from exchanges instead of user having to input them manually

[v1.1.0] - 2021-02-16

  • bug fixes v1.0.2
  • updated default Bybit live settings v1.1.0

2021-02-12

  • added indicator_settings["funding_fee_collect_mode"]
    • if true, will enter long only if predicted fundig rate is negative and enter short only if predicted funding rate is positive
  • added indicator rsi (not finished, not active)
  • changed entry_qty_pct formula
    • before initial_entry_qty = balance_ito_contracts * entry_qty_pct
    • now initial_entry_qty = balance_ito_contracts * leverage * entry_qty_pct
  • added logging
  • added "config_name" and "logging_level" to live settings
  • added break_on condition: break if balance + pnl < starting_balance

2021-02-10

  • renamed settings["default_qty"] to settings["entry_qty_pct"]
  • settings["entry_qty_pct"] may now also be a positive value
  • renamed settings["balance"] to settings["balance_pct"]
  • settings["balance_pct"] may now also be a positive value
  • added balance_pct to backtester. backtester will now behave like live bot, taking balance_pct into account
    • actual balance is used for liq price calc, otherwise balance * balance_pct is used

2021-02-09

  • added classic stop loss

2021-02-08

  • added min_close_qty_multiplier

2021-02-03

  • backtester break conditions change
  • bug fixes

2021-01-30

  • changed backtesting results formatting
  • fixed insufficient margin error
  • many other fixes and changes...
  • added possibility of running same backtest in two or more terminals for better cpu utilization

2021-01-23

  • removed static mode
  • added indicator ema
  • rewrote backtester

2021-01-19

  • renamed settings["margin_limit"] to settings["balance"]
  • bug fixes and changes in trade data downloading
  • if there already is historical trade data downloaded, run the script rename_trade_data_csvs.py to rename all files